Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 4 | 4 |
| Score | 2.54 | 2.24 | 2.62 |
| Market Cap (Millions USD) | 230.44 | 253.97 | 261.85 |
| Predicted Beta | 0.14 | 0.14 | 0.14 |
| Idiosyncratic Volatility | 1.86 | 1.85 | 1.84 |
Annualized return and volatility
| IXP | |
|---|---|
| Annualized Return | 0.0469 |
| Annualized Std Dev | 0.1932 |
| Annualized Sharpe (Rf=0%) | 0.2429 |
Row
Daily Return Statistics
| IXP | |
|---|---|
| Observations | 4629.0000 |
| NAs | 484.0000 |
| Minimum | -0.0834 |
| Quartile 1 | -0.0051 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1358 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | 0.3203 |
| Kurtosis | 10.4042 |
Downside Risk
| IXP | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0091 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.5011 |
| Historical VaR (95%) | -0.0186 |
| Historical ES (95%) | -0.0288 |
| Modified VaR (95%) | -0.0161 |
| Modified ES (95%) | -0.0161 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-30 | 2009-03-09 | 2013-09-13 | -0.5011 | 1504 | 350 | 1154 |
| 2002-01-07 | 2002-09-30 | 2004-11-26 | -0.4532 | 742 | 187 | 555 |
| 2018-01-29 | 2018-12-24 | 2019-04-29 | -0.1988 | 319 | 233 | 86 |
| 2015-04-29 | 2016-01-20 | 2016-04-19 | -0.1399 | 249 | 187 | 62 |
| 2016-08-16 | 2016-11-14 | 2017-12-12 | -0.1395 | 340 | 65 | 275 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IXP | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2002 | 0.6 | 0.9 | -0.6 | 0.1 | 0.0 | 1.3 | 0.0 | 0.0 | 4.1 | 1.0 | 0.0 | 0.0 | 7.8 |
| 2003 | 0.0 | 0.0 | 1.3 | 0.2 | 0.0 | 0.6 | -0.6 | 0.0 | 1.4 | 0.0 | 2.2 | 0.0 | 5.2 |
| 2004 | 0.0 | 1.5 | 0.6 | 0.0 | -0.4 | -0.3 | 0.0 | 0.7 | 2.3 | -0.2 | 2.0 | 0.0 | 6.3 |
| 2005 | 0.1 | 0.9 | -0.6 | 0.0 | -0.5 | -0.1 | 1.0 | 0.8 | 0.0 | -0.4 | 0.6 | 0.0 | 1.7 |
| 2006 | 0.0 | 1.4 | 0.0 | 0.5 | 1.6 | 0.0 | -1.0 | 0.7 | 0.0 | -1.1 | -0.7 | 0.0 | 1.4 |
| 2007 | 0.4 | -1.7 | 0.0 | 0.6 | 0.6 | 0.0 | 0.9 | 0.0 | 1.0 | -2.7 | 0.0 | 0.0 | -0.8 |
| 2008 | 0.2 | 0.0 | 2.6 | 1.1 | 0.0 | -0.3 | -1.1 | 0.0 | -0.1 | 0.0 | -5.9 | 0.0 | -3.7 |
| 2009 | 0.0 | 0.0 | 3.4 | 1.8 | 0.6 | 1.0 | 0.0 | -2.1 | -2.2 | 0.0 | 2.1 | 0.0 | 4.5 |
| 2010 | 1.1 | 0.5 | 0.8 | 0.0 | -0.5 | 1.3 | 0.0 | 2.2 | 1.1 | -0.1 | 1.7 | 0.0 | 8.2 |
| 2011 | 1.3 | -0.6 | 0.6 | 0.0 | -1.5 | 0.9 | 0.3 | -0.3 | 0.0 | -2.1 | -0.8 | 0.0 | -2.3 |
| 2012 | 0.1 | 0.3 | 0.0 | 0.4 | -1.0 | 0.0 | 0.2 | 0.0 | -0.2 | 1.0 | 0.0 | 0.0 | 0.7 |
| 2013 | 1.1 | -0.1 | -0.1 | -0.5 | 0.0 | 0.1 | 1.4 | 0.0 | 0.7 | 0.0 | 0.0 | 0.0 | 2.6 |
| 2014 | 0.0 | 0.0 | 0.3 | 0.2 | 0.0 | 0.9 | -0.6 | 0.0 | -1.2 | 0.0 | -0.8 | 0.0 | -1.3 |
| 2015 | 0.0 | 0.0 | 0.7 | 0.3 | -0.8 | 0.4 | 0.0 | -2.8 | -0.6 | 0.0 | 0.5 | 0.0 | -2.4 |
| 2016 | 1.2 | 2.0 | -0.3 | 0.0 | -0.5 | 0.4 | -0.2 | 0.3 | 0.0 | -0.6 | -0.3 | 0.0 | 1.9 |
| 2017 | -0.4 | 0.6 | 0.0 | 0.0 | 0.2 | 0.0 | 0.5 | -0.6 | 0.0 | 0.0 | -0.2 | 0.0 | 0.2 |
| 2018 | 0.4 | -0.9 | 0.0 | -0.6 | 0.5 | 0.0 | -0.1 | 0.0 | 0.0 | 0.2 | 0.0 | 0.0 | -0.5 |
| 2019 | -0.3 | 0.4 | 1.4 | -0.6 | 0.0 | 0.8 | -0.6 | 0.0 | -0.7 | 0.7 | 0.0 | -0.1 | 0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
